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在Vignola-Dale(1980)和Kawaller-Koch(1984)提出的持有成本(cost of carry)模型的基础上,进一步考虑了由于交易费用、存贮费用、交割费用、增值税和保证金而导致的有摩擦期货市场的套利分析方法.首先,运用无套利基本原理,分别给出了事前预测和事后检验的期货无套利区间模型;然后,运用给出的无套利区间模型进行了算例分析,结果表明:①事前套利分析模型有重要参考价值;②因为不同投资者的资金成本不同,因而套利机会和程度不同;③由于不同投资者的上缴增值税的差异,套利机会和程度也不同.
Based on the cost of carry model proposed by Vignola-Dale (1980) and Kawaller-Koch (1984), further consideration is given to transaction costs, storage costs, delivery costs, value added tax and deposits There is an arbitrage analysis method for the Friction Futures Market.Firstly, using the basic principle of No Arbitrage, we give a futures arbitrage-free interval model of ex-ante and post-mortem tests respectively. Then, It shows that: (1) There is an important reference value for the arbitrage analysis model in advance; (2) Because of the different capital costs of different investors, the arbitrage opportunities and degree are different; (3) The opportunities and extent of arbitrage are also different due to the difference of VAT paid by different investors.